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ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

 

 

 

ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

Duration  : 2 days

 

 

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CONTENT

COURSE OUTLINE

 

 

Topic 1: ALM and the Recent Crisis
1. Overall Causes of the Crisis
2. Balance Sheet Related Causes of the Crisis
3. The Effects of the Crisis
4. Responses to the Crisis
5. Lessons from the Crisis for Balance Sheet Management
Topic 2: An Introduction to Asset Liability Management
1. ALM Overview
2. An Introduction to Gaps
3. Contagion between Risk Types
4. Banking Book versus Trading Book
5. ALM Objectives
6. Roles within ALM
Topic 3: Interest Rate Risk
1. Overview
2. Components of Interest Rate Risk
3. Measurement
4. Management
 

 

 

 

 

 

 

Topic 4: Liquidity Risk
1. Overview
2. Fundamentals of Liquidity
3. Measurement and Management
4. Recent Developments
Topic 5: Balance Sheet Management
1. Introduction
2. The ALCO
3. Capital Management
4. Strategy and Products
5. Crisis Management and the Contingency Funding Plan
Topic 6: Bank Funds Transfer Pricing (FTP)
1. Introduction
2. FTP Governance and Management
3. FTP Methods and Historical Development
4. Other FTP Challenges
■ Conclusion

 

BENEFIT

• Understand and apply the underlying principle of Asset Liability Management
• Understand the place of Interest Rate Risk andLiquidity Risk within Market Risk, Liquidity Risk and Asset Liability Management
• Apply these elements in a Balance Sheet Management approach to risk management and appreciate the benefits of such an approach
• Describe the elements of FTP Governance and Management and describe the benefits of such an approach
• Describe the elements of FTP Methods and understand its historical development

WHO SHOULD ATTEND

• Financial team
• Asset and Liability Management team
• Liquidity and market risk team
• ALCO members
• Internal auditors

TESTIMONIALS

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was  organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

 If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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STATISTIC AND RISK MODELLING

 

STRESS TESTING

 

INTERNAL CREDIT RATING MODELS

 

DERIVATIVE AND PRICING

 

MARKET AND LIQUIDITY RISK MANAGEMENT

 

APPLICATION OF SPSS IN FINANCIAL FORECAST

 

APPLICATION OF SPSS IN RISK MODELLING

CREDIT RISK PORTFOLIO MANAGEMENT

 

ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

 

MARKET RISK MANAGEMENT

 

OPERATIONAL RISK MANAGEMENT

 

CREDIT RISK MANAGEMENT

 

COUNTER PARTY RISK MANAGEMENT

 

 

 

 

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